Question

Prove that $\tilde{X}_{\tilde{\theta}}(t)$ is a martingale

score 218 · Answer 1 · 2015-07-04 02:26:04

218

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Prove that $\tilde{X}_{\tilde{\theta}}(t)$ is a martingale

Published on 04 Jul 2015 - 2:26

score 119 · Answer 2 · 2015-07-04 16:21:56

119

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Proving that $Z_t=g(X_t)$ is a martingale if and only if $\mathbb{E}(Z_t|Z_s)=Z_s \ \forall t>s \geq 0$. ($X_t$ Markov)

Published on 04 Jul 2015 - 16:21

score 94 · Answer 3 · 2015-07-05 16:50:12

94

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Is this martingale identically zero?

Published on 05 Jul 2015 - 16:50

score 2.2k · Answer 4 · 2026-02-23 06:57:22

2.2k

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Show rigorously that Pólya urn describes a martingale

Published on 23 Feb 2026 - 6:57

score 32 · Answer 5 · 2015-07-07 10:00:55

32

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Can I show that a process which a supermartingale above a certain value and a submartingale below it converges?

Published on 07 Jul 2015 - 10:00

score 861 · Answer 6 · 2015-07-08 16:07:01

861

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Stochastic process $\exp(W_t - t/2)$ approaches zero for large $t$, but it is a martingale?

Published on 08 Jul 2015 - 16:07

score 136 · Answer 7 · 2015-07-09 15:38:30

136

Views

Brownian motion and associated martingales

Published on 09 Jul 2015 - 15:38

score 140 · Answer 8 · 2015-07-10 09:36:26

140

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Martingales and Stochastic Analysis James Yeh Th 8.13

Published on 10 Jul 2015 - 9:36

score 1k · Answer 9 · 2026-03-26 14:25:13

1k

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Uniform integrability of stopped martingale

Published on 26 Mar 2026 - 14:25

score 148 · Answer 10 · 2015-07-11 18:24:27

148

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Show that $\{X_n\}_{n\ge 1}$ is a submartingale with respect to $\{F_n\}_{n\ge 1}$, where $X_n=\left(Z_1+Z_2+...+Z_n\right)^2$

Published on 11 Jul 2015 - 18:24

score 76 · Answer 11 · 2015-07-12 14:03:04

76

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Non-martingale with respected to the natural filtration, and satisfies $E[M_{n+1} | M_n]=M_n$

Published on 12 Jul 2015 - 14:03

score 962 · Answer 12 · 2026-04-02 19:33:48

962

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Stochastic Integral of Simple Predictable Process is a Martingale

Published on 02 Apr 2026 - 19:33

score 275 · Answer 13 · 2015-07-22 02:33:38

275

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Prove that a succession of random variables is a martingale

Published on 22 Jul 2015 - 2:33

score 144 · Answer 14 · 2015-07-23 14:59:01

144

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Why are functions of semimartingales again semimartingales?

Published on 23 Jul 2015 - 14:59

score 736 · Answer 15 · 2015-07-23 15:39:42

736

Views

What is a martingale array - its definition and importance?

Published on 23 Jul 2015 - 15:39

List Question

Prove that $\tilde{X}_{\tilde{\theta}}(t)$ is a martingale

Proving that $Z_t=g(X_t)$ is a martingale if and only if $\mathbb{E}(Z_t|Z_s)=Z_s \ \forall t>s \geq 0$. ($X_t$ Markov)

Is this martingale identically zero?

Show rigorously that Pólya urn describes a martingale

Can I show that a process which a supermartingale above a certain value and a submartingale below it converges?

Stochastic process $\exp(W_t - t/2)$ approaches zero for large $t$, but it is a martingale?

Brownian motion and associated martingales

Martingales and Stochastic Analysis James Yeh Th 8.13

Uniform integrability of stopped martingale

Show that $\{X_n\}_{n\ge 1}$ is a submartingale with respect to $\{F_n\}_{n\ge 1}$, where $X_n=\left(Z_1+Z_2+...+Z_n\right)^2$

Non-martingale with respected to the natural filtration, and satisfies $E[M_{n+1} | M_n]=M_n$

Stochastic Integral of Simple Predictable Process is a Martingale

Prove that a succession of random variables is a martingale

Why are functions of semimartingales again semimartingales?

What is a martingale array - its definition and importance?

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